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Publications (10 of 59) Show all publications
Schäfer, D. & Schrooten, M. (2018). Geld und die Welt. Vierteljahrshefte zur Wirtschaftsforschung, 87(3), 5-8
Open this publication in new window or tab >>Geld und die Welt
2018 (German)In: Vierteljahrshefte zur Wirtschaftsforschung, ISSN 0340-1707, Vol. 87, no 3, p. 5-8Article in journal, Editorial material (Other academic) Published
Place, publisher, year, edition, pages
Duncker & Humblot, 2018
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-45452 (URN)10.3790/vjh.87.3.5 (DOI)
Available from: 2019-08-06 Created: 2019-08-06 Last updated: 2019-08-06Bibliographically approved
Barasinska, N. & Schäfer, D. (2018). Gender role asymmetry and stock market participation – evidence from four European household surveys. European Journal of Finance, 24(12), 1026-1046
Open this publication in new window or tab >>Gender role asymmetry and stock market participation – evidence from four European household surveys
2018 (English)In: European Journal of Finance, ISSN 1351-847X, E-ISSN 1466-4364, Vol. 24, no 12, p. 1026-1046Article in journal (Refereed) Published
Abstract [en]

This study investigates the importance of social norms for shaping women's and men's decision to participate in the stock market, aiming to disentangle the different channels playing a role in this decision. Gender role asymmetry is indicated by the country's rank in the gender equality index of the World Economic Forum. Using data from four national household surveys, we find that in Italy – the country with highly asymmetric gender role prescriptions – women's risk-taking behavior responds to this non-supportive environment. Consistent with the theory of social identity, Italian women refrain from stock market participation more than their self-reported risk tolerance levels would suggest. In contrast, in the three countries with a lower asymmetry in gender role prescriptions, no exaggerated female backing off from investing in stocks is observable. The result is robust to separately analyzing sub-samples of singles and couples. However, women who self-select into stock market participation invest the same portfolio share in stocks as do their male peers – independent of the society's degree of gender role divergence. 

Place, publisher, year, edition, pages
Routledge, 2018
Keywords
gender, risk tolerance, self-selection, social norms, stock market participation
National Category
Economics Gender Studies
Identifiers
urn:nbn:se:hj:diva-38339 (URN)10.1080/1351847X.2017.1371622 (DOI)000432659600002 ()2-s2.0-85029434636 (Scopus ID)IHHÖvrigtIS (Local ID)IHHÖvrigtIS (Archive number)IHHÖvrigtIS (OAI)
Available from: 2018-01-04 Created: 2018-01-04 Last updated: 2018-09-19Bibliographically approved
Wulandari, F., Schäfer, D., Stephan, A. & Sun, C. (2018). Liquidity risk and yield spreads of green bonds. Berlin: DIW Berlin, German Institute for Economic Research
Open this publication in new window or tab >>Liquidity risk and yield spreads of green bonds
2018 (English)Report (Other academic)
Abstract [en]

This study analyses how liquidity risk affects bonds’ yield spreads after controlling for credit risk, bond-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of LOT decreases over time, implying that, nowadays liquidity risk is negligible for green bonds.

Place, publisher, year, edition, pages
Berlin: DIW Berlin, German Institute for Economic Research, 2018. p. 22
Series
Discussion Papers, E-ISSN 1619-4535 ; 1728
Keywords
Green Bond, Liquidity Risk, Yield Spread, Sustainable Investment, Fixed Income Security, Financial Innovation
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-41595 (URN)
Available from: 2018-09-26 Created: 2018-09-26 Last updated: 2019-02-28Bibliographically approved
Mutarindwa, S., Schäfer, D. & Stephan, A. (2018). The Impact of Institutions on Bank Governance and Stability: Evidence from African Countries. Berlin: DIW
Open this publication in new window or tab >>The Impact of Institutions on Bank Governance and Stability: Evidence from African Countries
2018 (English)Report (Other academic)
Abstract [en]

This paper sheds new light on how African countries’ legal systems and institutions influence the governance and stability of their banks. We find that institutional factors, in particular the legal family of origin, political stability, contract enforcement and strength of investor protection promote central corporate governance reforms. Using a difference-in-difference approach, we also reveal that those reforms mediate the impact of institutions on banks. If countries have a corporate governance reform in place their banks show better internal governance and higher stability.

Place, publisher, year, edition, pages
Berlin: DIW, 2018. p. 29
Series
Discussion Papers Deutsches Institut für Wirtschaftsforschung. ; 1739
Keywords
African banks, corporate governance, legal systems, institutions, bank stability
National Category
Public Administration Studies
Identifiers
urn:nbn:se:hj:diva-41032 (URN)
Available from: 2018-07-20 Created: 2018-07-20 Last updated: 2019-02-28Bibliographically approved
Wulandari, F., Schäfer, D., Stephan, A. & Sun, C. (2018). The impact of liquidity risk on the yield spread of green bonds. Finance Research Letters, 27, 53-59
Open this publication in new window or tab >>The impact of liquidity risk on the yield spread of green bonds
2018 (English)In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 27, p. 53-59Article in journal (Refereed) Published
Abstract [en]

This study analyses how liquidity risk affects bonds’ yield spreads after controlling for credit risk, bond-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of LOT decreases over time, implying that, nowadays liquidity risk is negligible for green bonds.

Place, publisher, year, edition, pages
Elsevier, 2018
Keywords
Green Bond, Liquidity Risk, Yield Spread, Sustainable Investment, Fixed Income Security, Financial Innovation
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-38962 (URN)10.1016/j.frl.2018.02.025 (DOI)000454462300009 ()2-s2.0-85043308391 (Scopus ID)
Available from: 2018-03-06 Created: 2018-03-06 Last updated: 2019-02-28Bibliographically approved
Schäfer, D. (2017). 10 Jahre Große Finanzkrise: Weiterhin Krisenmodus oder nachhaltige Stabilität?. Wirtschaftspolitische Blätter (4), 489-503
Open this publication in new window or tab >>10 Jahre Große Finanzkrise: Weiterhin Krisenmodus oder nachhaltige Stabilität?
2017 (German)In: Wirtschaftspolitische Blätter, ISSN 0043-6291, no 4, p. 489-503Article in journal (Other academic) Published
Abstract [de]

Gute Regulierung muss gewährleisten, dass Finanzmärkte von selbst wieder zur Stabilität zurückkehren können. Wurde das erreicht? Sind die Finanzmärkte zehn Jahre nach Beginn der Großen Finanzkrise robust und nachhaltig?In dem vorliegenden Beitrag werden die wichtigsten Lehren rekapituliert und die bis dato aufgesetzten Regulierungen bewertet. Die Bestandsaufnahme verdeutlicht, dass in den vergangenen Jahren zwar einige Fortschritte erzielt wurden, aber weiterhin starke Zweifel an der Robustheit der Finanzmärkte bestehen.Das nach der Lehman-Insolvenz 2008 ausgegebene Ziel der lückenlosen Regulierung aller Finanzmärkte, Produkte und Akteure steht nicht mehr an vorderer Stelle in der politischen Agenda. Die Regulierung ist in zentralen Bereichen, wie zum Beispiel den Eigenkapitalanforderungen, den Schattenbanken, dem Trennbankengesetz und der Finanztransaktionssteuer lückenhaft geblieben oder ist nicht zielgerecht.

Place, publisher, year, edition, pages
Manz Verlag Wien, 2017
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-45457 (URN)
Available from: 2019-08-06 Created: 2019-08-06 Last updated: 2019-08-06Bibliographically approved
Oei, P.-Y., Brauers, H., Kemfert, C., von Hirschhausen, C., Schäfer, D. & Schmalz, S. (2017). Climate protection and a new operator: the eastern German lignite industry is changing. DIW Economic Bulletin (6/7), 63-73
Open this publication in new window or tab >>Climate protection and a new operator: the eastern German lignite industry is changing
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2017 (English)In: DIW Economic Bulletin, ISSN 2192-7219, no 6/7, p. 63-73Article in journal (Other academic) Published
Abstract [en]

According to the German federal government’s climate protection targets, there will be a continuous reduction of lignite-based electricity well before 2030. Simulations show that the currently authorized lignite mines in eastern Germany would not be fully depleted if the climate protection targets for 2030 were complied with. This makes planning for new mines or the expansion of existing ones superfluous. For the planning security of all the actors involved, policy makers should bindingly exclude permits for additional surface mines. In terms of the follow-up costs of lignite mining, the issue is whether or not the companies’ provisions are high enough and insolvency-proof. In this context, the new ownership structures in the eastern German lignite industry, after Vattenfall’s sale of its lignite division to Czech Energeticky a Prumyslovy Holding (EPH), have become a matter of importance. Simulations show that only under optimistic assumptions, the current provisions of 1.5 billion euros for the Lusatian lignite region are sufficient to cover recultivation costs. However, alternative scenarios show significant shortfalls. For this reason, policy makers should work toward independent, transparent cost estimates. Additional measures should be considered as required, such as the creation of a public sector fund to permanently protect the general public against being forced to take on the costs of recultivation. This is also animportant theme for the government’s new Commission on Growth, Structural Change, and Regional Development (Kommission Wachstum, Strukturwandel und Regionalentwicklung). Individual federal states also have key roles to play in the creation of a dependable roadmap for a coal phase-out. For example, the government of Brandenburg is now in the process of revising its energy strategy for 2030 (Energiestrategie 2030).

Place, publisher, year, edition, pages
DIW Berlin, 2017
Keywords
Coal, lignite, climate policy, Germany, liabilities, energy transition
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-45461 (URN)
Available from: 2019-08-06 Created: 2019-08-06 Last updated: 2019-08-06Bibliographically approved
Moro, R. A., Härdle, W. K. & Schäfer, D. (2017). Company rating with support vector machines. Statistics and Risk Modeling, 34(1-2), 55-67
Open this publication in new window or tab >>Company rating with support vector machines
2017 (English)In: Statistics and Risk Modeling, ISSN 2193-1402, Vol. 34, no 1-2, p. 55-67Article in journal (Refereed) Published
Abstract [en]

This paper proposes a rating methodology that is based on a non-linear classification method, a support vector machine, and a non-parametric isotonic regression for mapping rating scores into probabilities of default. We also propose a four data set model validation and training procedure that is more appropriate for credit rating data commonly characterised with cyclicality and panel features. Tests on representative data covering fifteen years of quarterly accounts and default events for 10,000 US listed companies confirm superiority of non-linear PD estimation. Our methodology demonstrates the ability to identify companies of diverse credit quality from Aaa to Caa-C. 

Place, publisher, year, edition, pages
Walter de Gruyter, 2017
Keywords
Bankruptcy, Company rating, Probability of default, Support vector machines
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-45451 (URN)10.1515/strm-2012-1141 (DOI)000401809700004 ()2-s2.0-85020485574 (Scopus ID)
Available from: 2019-08-06 Created: 2019-08-06 Last updated: 2019-08-06Bibliographically approved
Kotz, H.-H. & Schäfer, D. (2017). EU Capital Markets Union: an alluring opportunity or a blind alley? Concept and micro-perspectives of CMUs. Vierteljahrshefte zur Wirtschaftsforschung, 86(1), 5-8
Open this publication in new window or tab >>EU Capital Markets Union: an alluring opportunity or a blind alley? Concept and micro-perspectives of CMUs
2017 (English)In: Vierteljahrshefte zur Wirtschaftsforschung, ISSN 0340-1707, Vol. 86, no 1, p. 5-8Article in journal, Editorial material (Other academic) Published
Place, publisher, year, edition, pages
Duncker & Humblot, 2017
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-45453 (URN)10.3790/vjh.86.1.5 (DOI)
Available from: 2019-08-06 Created: 2019-08-06 Last updated: 2019-08-06Bibliographically approved
Kotz, H.-H. & Schäfer, D. (2017). EU Capital Markets Union: an alluring opportunity or a blind alley? The macro-perspective: CMU and risk-sharing. Vierteljahrshefte zur Wirtschaftsforschung, 86(2), 5-7
Open this publication in new window or tab >>EU Capital Markets Union: an alluring opportunity or a blind alley? The macro-perspective: CMU and risk-sharing
2017 (English)In: Vierteljahrshefte zur Wirtschaftsforschung, ISSN 0340-1707, Vol. 86, no 2, p. 5-7Article in journal, Editorial material (Other academic) Published
Place, publisher, year, edition, pages
Duncker & Humblot, 2017
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-45455 (URN)10.3790/vjh.86.2.5 (DOI)
Available from: 2019-08-06 Created: 2019-08-06 Last updated: 2019-08-06Bibliographically approved
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Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0003-3879-7361

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